Quote Engine

Overview

The Quote Engine is an institutional OTC execution and risk management platform that serves as the core pricing and execution layer for Algo724's trading desk. It connects to 10+ liquidity venues across crypto, fiat, and gold markets, providing a single API endpoint that abstracts all routing, pricing, and settlement complexity.

Architecture

The system is built in Rust for maximum performance and reliability. Key architectural decisions:

• Event-driven architecture using Kafka for reliable message passing between services
• gRPC for low-latency inter-service communication
• PostgreSQL for trade persistence and audit trails
• Kubernetes for orchestration and zero-downtime deployments

Key Features

• Multi-venue connectivity: Aggregates liquidity from 10 venues including JP Morgan FX, Cumberland, Wintermute, and GSR
• Auto-hedging: Threshold-based risk control that automatically hedges exposure across venues
• Venue health scoring: Real-time monitoring of venue reliability, latency, and fill rates
• Smart order routing: Optimizes execution across venues based on price, latency, and counterparty risk

Technical Challenges

Building a system that handles real capital requires extreme attention to reliability. Key challenges included:

• Handling venue disconnections gracefully without losing orders
• Implementing idempotent execution to prevent duplicate fills
• Managing concurrent hedging operations across correlated assets
• Sub-millisecond price staleness detection across heterogeneous venue APIs